F GBP/EUR ​ 是怎么得出来的

问题如下：

5. Based on Exhibit 2, Underwood should conclude that three-month EUR Libor is:

选项：

below three-month GBP Libor.

equal to three-month GBP Libor.

above three-month GBP Libor.

解释：

A is correct.

The positive forward points for the GBP/EUR pair shown in Exhibit 2 indicates that the EUR trades at a forward premium at all maturities, including three months. Covered interest rate parity

$F_{\mathrm{GBP}/\mathrm{EUR}}=S_{f/d}{(\frac{1+i_{\mathrm{GBP}}{\lbrack\frac{Actual}{360}\rbrack}}{1+i_{\mathrm{EUR}}{\lbrack\frac{Actual}{360}\rbrack}})}$

suggests a forward rate greater than the spot rate requires a non-domestic risk-free rate (in this case, the GBP Libor) greater than the domestic risk-free rate (EUR Libor). When covered interest rate parity is violated, traders can step in and conduct arbitrage.

考点：Interest rate parity

解析：根据利率平价理论，我们可以得到如下公式：

$F_{\mathrm{GBP}/\mathrm{EUR}}=S_{f/d}{(\frac{1+i_{\mathrm{GBP}}{\lbrack\frac{Actual}{360}\rbrack}}{1+i_{\mathrm{EUR}}{\lbrack\frac{Actual}{360}\rbrack}})}$

现在根据表二，上式左边大于右边。因此，上式右边括号里的数值一定大于1。所以该项中分子的利率要大于分母处的利率。所以选A。